There are a couple of possibilities. If the system reboots, any data in the open applications will be lost. That means if you have not saved your data on disk, then it will be lost if the system reboots.
If you take the batteries out while the HP 95LX is ON, applications that were running will terminate without a chance to save data. In some cases this will cause damage to data files on the internal RAM disk resulting in a RAM disk initialization. Make sure you turn the HP 95LX OFF before you take out the main AA batteries.
On rare occasions, the HP 95LX will shut down for lack of power and an open file may become corrupted. This condition may require a RAM disk initialization to recover. When the system says "Main Batteries Low", turn the system off and change the batteries as soon as you can.
If the Main "AA" batteries and the lithium backup battery have both run down, then all memory will be lost, including the RAM disk.
As with any computer, it is very important to backup your data at regular intervals. To determine the interval, try to determine how much data you can lose before it becomes significant.